ABSTRACT
In Indonesia Stock Exchange, there are so many informations that can be received by investor, such as public information or private information. One of available information is stock split. This information influent among change of stock price, stock volume, and another market activity. Stock split is an activity which is done by go-public company to increase circulate stock quantity until lowered the stock price. That activity usually does at the moment stock price becomes too high until decreasing investor ability to buy the stock. One of the stock which publishes stock split is PT Perusahaan Gas Negara, Tbk. (PGAS) at August 4, 2008. Stock split unit ratio is 1 to 5. Stock sell with previous face value end at August 2, 2008. Researcher intend there are abnormal return that intends wether can be found, in adidtion the difference of abnormal return and stock volume activity at before and after the period of stock split event. It can be defined that there are abnormal return received by market agen at t0 and t2 period. And also there are no diferrence of abnormal return and trading volume activity (TVA) between before and afer stock split event at August 4, 2008.
Keywords: stock split, event study, abnormal return, trading volume activity.
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INTISARI Di Bursa Efek Indonesia, banyak sekali informasi yang dapat diperoleh para investor baik yang bersifat publik ataupun yang bersifat pribadi. Salah satu informasi yang ada adalah informasi tentang stock split atau pemecahan saham. Informasi ini tentunya berpengaruh bagi para investor dalam mengambil keputusan investasinya. Informasi ini tentunya dapat mengakibatkan diantaranya perubahan harga saham, volume saham, dan aktivitas pasar lainnya. Stock split adalah suatu aktifitas yang dilakukan oleh perusahaan go-public untuk meningkatkan jumlah saham yang beredar sehingga harganya menjadi lebih rendah. Aktivitas tersebut biasanya dilakukan pada saat harga saham dinilai terlalu tinggi sehingga akan mengurangi kemampuan investor untuk membeli saham tersebut. Salah satu saham yang mengumumkan stock split adalah PT Perusahaan Gas Negara, Tbk. (PGAS) pada tanggal 4 Agustus 2008. Rasio pemecahan unit saham adalah 1 berbanding 5. Penjualan saham dengan nilai nominal lama berakhir pada tanggal 2 Agustus 2008. Peneliti di sini berniat untuk mengetahui apakah terdapat return tidak normal lalu mengetahui apakah terdapat perbedaan return tidak normal dan aktivitas volume saham pada periode sebelum dan sesudah peristiwa stock split. Setelah dilakukan penelitian dapat disimpulkan terdapat return tidak normal yang diterima oleh para pelaku pasar pada periode t0 dan t2. Lalu dapat disimpulkan juga tidak terdapat perbedaan return tidak normal dan aktivitas volume (TVA) perdagangan antara sebelum dan sesudah peristiwa stock split 4 Agustus 2008.
Kata-kata kunci: stock split, studi peristiwa, return tidak normal, aktivitas volume.
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DAFTAR ISI
HALAMAN JUDUL .............................................................................................. .i HALAMAN PENGESAHAN .............................................................................. ..ii KATA PENGANTAR ........................................................................................... iii DAFTAR ISI.......................................................................................................... vi DAFTAR TABEL................................................................................................ viii DAFTAR GAMBAR ............................................................................................. ix DAFTAR LAMPIRAN........................................................................................... x ABSTRACT........................................................................................................... xi INTISARI ............................................................................................................. xii BAB 1 PENDAHULUAN .......................................................................................1 1.1 Latar Belakang Masalah.................................................................................1 1.2 Identifikasi Masalah.......................................................................................4 1.3 Tujuan Penelitian ...........................................................................................4 1.4 Kegunaan Penelitian ......................................................................................4 1.5 Batasan Penelitian ..........................................................................................5 1.6 Rerangka Pemikiran.......................................................................................5 BAB 2 TINJAUAN PUSTAKA ..............................................................................8 2.1 Pengertian Pasar Modal .................................................................................8 2.2 Jenis Pasar Modal ........................................................................................11 2.2.1 Pasar Perdana (Primary Market) ..........................................................11 2.2.2 Pasar sekunder (Secondary Market) .....................................................11 2.2.3 Pasar Ketiga (Third Market) .................................................................12 2.2.4 Pasar keempat (Fourth Market) ............................................................13 2.3 Fungsi Pasar Modal......................................................................................14 2.4 Pemecahan Saham (stock split)....................................................................16 2.4.1 Pengertian Pemecahan Saham ..............................................................16 2.4.2 Jenis Pemecahan Saham (stock split)....................................................19 2.4.3 Tujuan Pemecahan Saham (stock split) ................................................19 2.5 Penelitian Sebelumnya.................................................................................20 2.6 Pembentukan Hipotesis................................................................................21 BAB 3 OBJEK DAN METODOLOGI PENELITIAN .........................................23 3.1 Sejarah dan Latar Belakang PT Perusahaan Gas Negara, Tbk. ...................23 3.2 Metode Penelitian ........................................................................................24 3.3 Data ..............................................................................................................24 3.3.1 Harga Saham yang Diteliti....................................................................25 3.3.2 Volume Perdagangan Saham yang Diteliti ...........................................25 3.4 Ruang Lingkup dan Batasan Penelitian .......................................................25 3.4.1 Peristiwa yang Diteliti...........................................................................25 3.4.2 Perioda Pengamatan..............................................................................25 3.5 Pemilihan Sampel ........................................................................................26 3.6 Pengukuran Variabel....................................................................................27 3.6.1 Return Tidak Normal ............................................................................27
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3.6.2 Trading Volume Activity......................................................................28 3.7 Proses Pengolahan Data ...............................................................................29 3.8 Pengujian Hipotesis .....................................................................................30 3.8.1 Pengujian Statistika Terhadap Return Tidak Normal ...........................30 3.8.2 Uji Beda ................................................................................................32 BAB 4 PEMBAHASAN........................................................................................33 4.1 Pengujian Return Tidak Normal ..................................................................33 4.2 Uji Beda Return Tidak Normal....................................................................36 4.2.1 Pengujian Normalitas Return Tidak Normal Sebelum dan Sesudah Peristiwa.........................................................................................................36 4.2.2 Uji Beda Return Tidak Normal Sebelum dan Sesudah Peristiwa.........37 4.3 Pengujian Volume Saham............................................................................38 4.3.1 Uji Normalitas Volume Saham .............................................................39 4.3.2 Uji Beda Aktivitas volume perdagangan Saham ..................................40 BAB 5 SIMPULAN DAN SARAN.......................................................................41 5.1 Simpulan ......................................................................................................41 5.2 Saran ............................................................................................................42
DAFTAR PUSTAKA ........................................................................................... 43
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DAFTAR TABEL
Tabel 4.1 Return Tidak Normal dan T hitung Perioda Peristiwa...........................35 Tabel 4.2 Hasil Uji Normalitas Return Tidak Normal One-Sample......................36 Tabel 4.3 Hasil Uji Beda Return Tidak Normal ....................................................37 Tabel 4.4 TVA (Trading Volume Activity) Saham Periode Peristiwa ..................38 Tabel 4.5 Hasil Uji Normalitas Return Tidak Normal...........................................39 Tabel 4.6 Hasil Uji Beda Return Tidak Normal ....................................................40
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DAFTAR GAMBAR
Gambar 1.1 Rerangka pemikiran ............................................................................7 Gambar 3.1 Perioda Waktu Penelitian...................................................................26
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DAFTAR LAMPIRAN
Lampiran 1.
Daftar harga saham PGAS periode 3 Maret 2008 sampai 29 Agustus 2008
Lampiran 2.
Daftar volume saham PGAS periode 3 Maret 2008 sampai 29 Agustus 2008
Lampiran 3.
Pengumuman stock split PT Perusahaan Gas Negara, Tbk. (PGAS)
Lampiran 4.
Jadwal pelaksanaan stock split PT Perusahaan Gas Negara, Tbk. (PGAS)
Lampiran 5.
Keterangan meminta data penelitian pada Pojok BEJ Maranatha Sinarmas Sekuritas
Lampiran 6.
Pernyataan Keaslian Karya Tulis
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